DOAJ Open Access 2021

Uncertainty, Spillovers, and Forecasts of the Realized Variance of Gold Returns

Rangan Gupta Christian Pierdzioch

Abstrak

Using data for the group of G7 countries and China for the sample period 1996Q1 to 2020Q4, we study the role of uncertainty and spillovers for the out-of-sample forecasting of the realized variance of gold returns and its upside (good) and downside (bad) counterparts. We go beyond earlier research in that we do not focus exclusively on U.S.-based measures of uncertainty, and in that we account for international spillovers of uncertainty. Our results, based on the Lasso estimator, show that, across the various model configurations that we study, uncertainty has a more systematic effect on out-of-sample forecast accuracy than spillovers. Our results have important implications for investors in terms of, for example, pricing of related derivative securities and the development of portfolio-allocation strategies.

Topik & Kata Kunci

Applied mathematics. Quantitative methods Mathematics Electronic computers. Computer science

Penulis (2)

Rangan Gupta

Christian Pierdzioch

Format Sitasi

APA MLA BibTeX

Gupta, R., Pierdzioch, C. (2021). Uncertainty, Spillovers, and Forecasts of the Realized Variance of Gold Returns. https://doi.org/10.3390/mca26030049

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Informasi Jurnal

Tahun Terbit: 2021
Sumber Database: DOAJ
DOI: 10.3390/mca26030049
Akses: Open Access ✓